Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1039 |
| Annualized Std Dev | 0.2388 |
| Annualized Sharpe (Rf=0%) | 0.4353 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3704.0000 |
| NAs | 1.0000 |
| Minimum | -0.1426 |
| Quartile 1 | -0.0062 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1086 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0150 |
| Skewness | -0.5970 |
| Kurtosis | 9.9695 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0111 |
| Gain Deviation | 0.0102 |
| Loss Deviation | 0.0121 |
| Downside Deviation (MAR=210%) | 0.0154 |
| Downside Deviation (Rf=0%) | 0.0109 |
| Downside Deviation (0%) | 0.0109 |
| Maximum Drawdown | 0.5196 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0365 |
| Modified VaR (95%) | -0.0237 |
| Modified ES (95%) | -0.0503 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2010-01-06 | -0.5196 | 537 | 255 | 282 |
| 2018-09-17 | 2020-03-23 | 2020-08-17 | -0.4369 | 483 | 381 | 102 |
| 2011-07-08 | 2011-10-03 | 2012-12-18 | -0.2503 | 365 | 61 | 304 |
| 2015-08-18 | 2016-02-11 | 2017-05-25 | -0.2394 | 447 | 123 | 324 |
| 2010-04-26 | 2010-07-06 | 2010-10-22 | -0.1866 | 127 | 50 | 77 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | 0.8 | -0.6 | 1.2 | 3.3 | -1.2 | 0.8 | -0.9 | -1.4 | -0.8 | -1 | 0 |
| 2007 | 0.4 | -0.7 | 0.4 | 0 | 0.4 | -0.4 | -0.9 | 1.9 | 1.2 | -2 | 1.2 | 0.1 | 1.5 |
| 2008 | 1.5 | -3.5 | -0.3 | 0.9 | 0.5 | 0.5 | -0.2 | -0.7 | 0 | 4 | -7 | 1.7 | -3 |
| 2009 | -2.2 | -1 | 1 | 0.4 | 4.3 | 1 | 0.5 | -2.4 | -3.4 | -3 | 1.9 | -1.2 | -4.4 |
| 2010 | 1.7 | 2.2 | 1.4 | -2.3 | -2.9 | -0.1 | 0.7 | 3.6 | -0.3 | -0.3 | 1.6 | -0.7 | 4.6 |
| 2011 | 1.5 | -1.6 | 0.5 | 0.2 | -2.2 | 1.5 | -0.3 | -1.7 | -3.1 | -3.2 | 0 | -0.7 | -8.8 |
| 2012 | 1.9 | 1 | -0.1 | 0.6 | -3.4 | 2.9 | -1.1 | 0.7 | -0.6 | 2.4 | -0.4 | 2 | 5.8 |
| 2013 | 0.7 | -0.2 | -1.5 | -1.8 | -1 | 1 | 2.6 | -1.6 | 1.9 | 0.1 | 0.2 | 0.5 | 0.8 |
| 2014 | -0.8 | -0.1 | 1.1 | 0.3 | -0.4 | 1.4 | -0.1 | 1 | -2 | 1.2 | -1.8 | -1 | -1.1 |
| 2015 | -1.8 | -0.3 | -0.5 | 1.6 | 0.2 | 0.6 | 0.7 | -2.7 | -0.3 | -0.1 | 1.1 | -0.6 | -2.1 |
| 2016 | 0.4 | 2.4 | 0.7 | -1 | 0.4 | 0 | 0.2 | 0 | 1 | -0.7 | -1.1 | -0.5 | 1.9 |
| 2017 | -0.2 | 1.6 | 0.4 | 0.4 | 1.2 | 0.4 | 0.7 | 0.4 | 0.3 | -0.6 | -0.4 | -0.5 | 3.8 |
| 2018 | 0.5 | -0.9 | 2.3 | 0.6 | 0.6 | 0.7 | -0.8 | 0.7 | -1.2 | 1.7 | 0.7 | 0.9 | 6.1 |
| 2019 | 0.5 | 0.8 | 1 | -1.4 | -0.7 | 0.2 | -1.6 | -0.1 | -1.6 | 1.9 | -0.9 | 0 | -2 |
| 2020 | -2.1 | -1.5 | -5.7 | -3.6 | 1.4 | -0.3 | -0.2 | 1.1 | 1.3 | -1.9 | 0.9 | 0 | -10.2 |
| 2021 | 2.1 | 2.9 | 1.6 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.7 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-03-07 51.0 SPY 128. -0.0016 -0.002 0.0135 0.0088 0.0422 0.546 0.0324 GLD 55.0 -0.0051 -0.02
2 2006-03-09 50.6 SPY 127. -0.0067 -0.0153 0.0151 0.0044 0.053 0.566 0.0305 GLD 54.2 0.005 -0.0441
3 2006-03-10 51.1 SPY 129. 0.0095 -0.0013 0.0156 0.0199 0.0606 0.597 0.0309 GLD 53.8 -0.0076 -0.0435
4 2006-03-13 51.4 SPY 129. 0.0019 0.0051 0.0191 0.0225 0.0701 0.589 0.0218 GLD 54.3 0.0089 -0.0167
5 2006-03-14 51.2 SPY 130. 0.0105 0.0173 0.028 0.0305 0.0746 0.552 0.0252 GLD 54.9 0.0103 -0.0015
6 2006-03-15 51.8 SPY 131. 0.0045 0.0197 0.0344 0.0341 0.0884 0.554 0.0286 GLD 55.1 0.0046 0.0213
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
